Triangular arbitrage as an interaction among foreign exchange rates

DOI10.1016/S0378-4371(02)00799-9zbMATH Open0995.91025arXivcond-mat/0202391OpenAlexW2052731693MaRDI QIDQ1600262FDOQ1600262

Authors: Yukihiro Aiba, Naomichi Hatano, H. Takayasu, Kouhei Marumo, Tokiko Shimizu 

Publication date: 12 June 2002

Published in: Physica A (Search for Journal in Brave)

Abstract: We first show that there are in fact triangular arbitrage opportunities in the spot foreign exchange markets, analyzing the time dependence of the yen-dollar rate, the dollar-euro rate and the yen-euro rate. Next, we propose a model of foreign exchange rates with an interaction. The model includes effects of triangular arbitrage transactions as an interaction among three rates. The model explains the actual data of the multiple foreign exchange rates well.

Full work available at URL: https://arxiv.org/abs/cond-mat/0202391

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zbMATH Keywords

interaction

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Title not available (Why is that?)

Cited In (9)

• Detecting and identifying arbitrage in the spot foreign exchange market
• Periodic sequences of arbitrage: a tale of four currencies
• Triangular arbitrage and negative auto-correlation of foreign exchange rates
• Toward a Geometric Formulation of Triangular Arbitrage
• Compositional Analysis of Exchange Rates
• No‐arbitrage matrices of exchange rates: Some characterizations
• Covered Interest Arbitrage in Exchange Rate Forecasting Markets
• Double exponential instability of triangular arbitrage systems
• A NETWORK MODEL FOR FOREIGN EXCHANGE ARBITRAGE, HEDGING AND SPECULATION

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